SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Option valuation with conditional skewness · Study

ArticleShelves

ArticleOption valuation with conditional skewness

Peter Christoffersen2005

Article2005

Option valuation with conditional skewness

Peter Christoffersen · Steve Heston · Kris Jacobs

282 citations·0/0 files stored·Journal of Econometrics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 282 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1976Option pricing when underlying stock returns are discontinuous 1987The Pricing of Options on Assets with Stochastic Volatilities 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997Empirical Performance of Alternative Option Pricing Models

Cited by

2008A GARCH Option Pricing Model with Filtered Historical Simulation 2011The Puzzle of Index Option Returns 2008Mispricing of S&P 500 Index Options 2009Option Valuation with Conditional Heteroskedasticity and Nonnormality 2011Lévy Jump Risk: Evidence from Options and Returns 2005Practical Volatility and Correlation Modeling for Financial Market Risk Management

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2004Option Valuation with Conditional Skewnesspreprint · 27 shared references 2010The Econometrics of Option Pricingchapter · 24 shared references 2005Volatility Forecastingreport · 22 shared references 2008Option Valuation with Long-Run and Short-Run Volatility Componentspreprint · 22 shared references 2010Pricing and Inference with Mixtures of Conditionally Normal Processespreprint · 22 shared references 2013Capturing Option Anomalies with a Variance-Dependent Pricing Kernelarticle · 21 shared references

Details

Year2005

Typearticle

Published2005-03-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations282

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.jeconom.2005.01.010

openalex_workW3124367289

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2013Financial Risk Measurement for Financial Risk Management

2011Modeling Market Downside Volatility